SYSTEMATIC LIQUIDITY

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

Information, trade and common knowledge

1982 • 1,739 citations

Commonality in liquidity

2000 • 1,683 citations

Noise

1986 • 1,665 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Common factors in prices, order flows, and liquidity

2001 • 1,119 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

Dealership market

1980 • 998 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 645 citations

A Specialist's Quoted Depth and the Limit Order Book

1999 • 293 citations

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

1990 • 249 citations

Forecasting, structural time series models and the Kalman filter

1990 • 216 citations

Liquidity and the 1987 stock market crash

1990 • 166 citations

Asset Price Behavior in a Dealership Market

1982 • 87 citations

Market Efficiency and Value Line's Record

1990 • 56 citations

Value Line Rank and Firm Size

1987 • 56 citations

Seasonalities in NYSE Bid‐Ask Spreads and Stock Returns in January

1992 • 34 citations

A Specialist's Quoted Depth as a Strategic Choice Variable

1996 • 32 citations

Seasonality in NASDAQ Dealer Spreads

1989 • 20 citations

Untitled

2000 • 14 citations